This page will list the most relevant questions that users ask about the service and the strategies. Hopefully here you will find all the answers you need but please don’t hesitate to use the contact us form to submit any further queries you might have.
Please read carefully the disclaimer at the end of this page.
Trading Mate is a website where you can find the current composition of an actively-managed portfolio which invests across different asset classes: equity indices, equity volatility, interest rates and precious metals. The portfolio allocation is driven by a purely quantitative set of rules and don’t necessarily express a personal view about markets . The exposure can vary from -100% (strongly bearish) to +100% (strongly bullish).
The positions are updated after U.S. markets close and the Portfolio page will show the exposure that the portfolio will have at the start of the next trading session. To access the portfolio section and see the updated position you can click the button below.
Access the updated portfolio here
The strategy can be seen as a portfolio of sub-strategies that each day could signal a long or short opportunity or remain flat. Each sub-strategy has a score depending on the position it is taking (i.e. +1 for a long, -1 for a short and 0 for a flat position).
At strategy level these scores are aggregated to come up with a single number that express the exposure (in percentage) that will be taken at the start of the next trading session.
Using multiple sub-strategies that are based on different logic will allow the strategy to increase or decrease the exposure depending on the confidence inherited from the sub-strategies. The strategy will have a 100% exposure only when all sub-strategies are signaling the same position.
It is important to note that the sub-strategies are following different algorithms and are not necessarily correlated. This is the reason why on most markets it is rare to achieve a 100% exposure for a prolonged period of time.
It is possible to group the sub-strategies under 2 main categories:
- – risk on/off strategies: these extract information from the volatility surfaces to infer the current market sentiment and position the portfolio accordingly
- – short-term strategies: these are purely based on prices and volumes and tend to exploit short-term opportunities that might arise and could potentially also trade against the main trend identified by the risk on/off strategies
We believe that this strategy-level diversification, together with strict risk and money management rules, has been the key to the results achieved so far.
The exposure is expressed as percentage of the maximum amount allocated to a given market. When deciding to invest in a given market we need to set the maximum amount we want to put at risk when fully investing on that market. For example someone who has $10,000 as risk capital might want to allocate $5,000 to S&P 500 and $5,000 to NASDAQ. If the portfolio exposure for the day is 50% on each market, then the portfolio will invest $2,500 on each market, with the rest that is temporarily kept as cash.
Trading Mate tries to optimise the time-to-market and only expose a percentage of that maximum allocation at risk, depending on the anticipated market conditions. This exposure can vary from -100% (when models have a strong bearish view) to +100% (when models have a strong bullish view).
As said before, it is common to see that the strategy is not fully invested all the time. Take for example the strategy on NASDAQ 100. The chart below shows the performance and drawdowns until May 26 2021. The top panel shows the exposure taken on each session and, as the label suggests, this has been on average only 44% on the long side and 28% on the short side.
The amount of capital that is not exposed to market on a given day is assumed to be kept in cash but in practice it can be invested in short-term instruments that could be easily transformed into cash if the strategy calls for a higher market exposure during the next session.
The drawdown is calculated as the relative difference between (A) the cumulative return as of a given date and (B) the rolling maximum cumulative return. In formula, that is (A/B – 1). By construction, if the drawdown is zero, it means that the strategy (or the market) is making a new high. By looking at the drawdown profile it is also possible to see how long the strategy (or the market) took to recover previous losses and make a new high.
The Value at Risk (VaR) shows the loss that is expected to be exceeded only with a 1% probability over the next 1 trading day. Please note that this is based on historical observations. The expected shortfall gives an indication of the average loss that we could expect to see if the strategy incurs in a loss that is exceeding the VaR. In other words, in the next 1000 days of trading we expect to see a loss that is on average equal to the expected shortfall during the worst 10 days of trading (i.e. 1% of the 1000 days).
The strategies used in Trading Mate have been used on some instruments for few years now. The most recent additions have been EEM and XLE where the strategies have been live only since 2020.
Since any strategy might stop working at some point, there is no guarantee that the strategies used by Trading Mate won’t follow the same path. But the expectation is that being based on some criteria that exploit very general characteristics of the markets, these strategies won’t suffer of the common problems of many quantitative strategies.
Having said that, by using different sub-strategies we can also achieve some level of diversification at strategy level that could mitigate the risk of one piece stopping to work as expected. Add to this that there will be constant monitoring of the performance of each sub-strategy and if any problem arises a sub-strategy could be removed and stop contributing signals to the main strategy.
Once logged in it is possible to access the account information. Here it is possible to see all the relevant information about the current subscription level and modify or cancel it if needed.
Traders and quantitative risk professionals with 10y+ experience working in the financial industry.
You can visit the page with the strategy results or access our current portfolio exposures below.
Access the updated portfolio here
IMPORTANT DISCLAIMER
Past performance is not necessarily indicative of future results. All investments carry significant risk and all investment decisions of an individual remain the specific responsibility of that individual. There is no guarantee that the systems or trading signals here discussed will result in future profits or that they will not result in losses. All investors are advised to fully understand the risks associated with any kind of investing they choose to do and to get personal advice from a professional investment advisor.
As a general rule: never invest more than you can afford to lose.
By using this website and accessing the page containing the current portfolio positions, you confirm that you understood all aspects of this disclaimer and that any future investments you will make based on the information provided on this website, will be your full responsibility.